Oracle Inequalities and Optimal Inference under Group Sparsity

Karim Lounici, Massimiliano Pontil, Alexandre Tsybakov and Sara Van De Geer
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Karim Lounici: Crest
Massimiliano Pontil: Crest
Sara Van De Geer: Crest

No 2010-35, Working Papers from Center for Research in Economics and Statistics

Abstract: We consider the problem of estimating a sparse linear regression vector ß* under a gaussian noise model, for the purpose of both prediction and model selection. We assume that prior knowledge is available on the sparsity pattern, namely the set of variables is partitioned into prescribed groups, only few of which are relevant in the estimation process. This group sparsity assumption suggests us to consider the Group Lasso method as a means to estimate ß*. We establish oracle inequalities for the prediction and l2 estimation errors of this estimator. These bounds hold under a restricted eigenvalue condition on the design matrix. Under a stronger coherence condition, we derive bounds for the estimation error for mixed (2,p)-norms with 1=p=8. When p=8, this result implies that a threshold version of the Group Lasso estimator selects the sparsity pattern of ß* with high probability. Next, we prove that the rate of convergence of our upper bounds is optimal in a minimax sense, up to a logarithmic factor, for all estimators over a class of group sparse vectors. Furthermore, we establish lower bounds for the prediction and l2 estimation errors of the usual Lasso estimator. Using this result, we demonstrate that the Group Lasso can achieve an improvement in the prediction and estimation properties as compared to the Lasso.

Pages: 38
Date: 2010
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Citations: View citations in EconPapers (1)

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